I disabled Internet Explorer a long time ago and havent needed to use Monkey until now. After doing a lot of research I found that a lot of other people were having the same connection error. It's been bugging the **** out of me so here ya go. You must open up Internet Explorer, not FireFox or Opera Etc.. First see if it connects to the internet. If it does and Monkey still wont connect then I don't know but If IE doesn't connect then this is your problem. Open up Tools then Internet Options. Open Connections. Then open LAN Connections. The only box that should be checked is the Automatically detect settings. Click Apply and close. Refresh IE and see if it connects. If so. Open up Monkey and see if it connects. There ya go.
This worked for me as well. The root cause was a virus that I had that installed itself as an IE proxy. I cleaned the virus, but IE was still set to look for a proxy
in the connection / LAN settings. Fixing the setting as suggested by the OP corrected the issue.
L6 should add to a FAQ. In case of connection issues, confirm that you're able to connect with IE. Not everyone uses IE & may not notice if a virus put it out of whack.